Publications de Damir Filipovic

Adaptive Joint Distribution Learning

We develop a new framework for estimating joint probability distributions using tensor product reproducing kernel Hilbert spaces (RKHS). Our framework accommodates a low-dimensional, normalized, and positive model of a Radon-Nikodym derivative, which we es ...

SIAM PUBLICATIONS2025

Sparse portfolio selection via topological data analysis based clustering

Damir Filipovic, Puneet Pasricha

Informa UK Limited2025

Ensemble learning for portfolio valuation and risk management

Damir Filipovic, Lotfi Boudabsa

We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees. We learn the dynamic value process of a derivative portfolio from a finite sample of its cumulative cash flow. The estimator is given ...

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD2025

StockTwits classified sentiment and stock returns

Damir Filipovic, Marc-Aurèle Antoine Divernois

We classify the sentiment of a large sample of StockTwits messages as bullish, bearish or neutral, and create a stock-aggregate daily sentiment polarity measure. Polarity is positively associated with contemporaneous stock returns. On average, polarity is ...

2024

Stripping the Swiss discount curve using kernel ridge regression

Damir Filipovic

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...

Springer Heidelberg2024

Discount models

Damir Filipovic

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Springer Heidelberg2023

Analysis of Large Market Data Using Neural Networks: A Causal Approach

Damir Filipovic, Negar Kiyavash, Marc-Aurèle Antoine Divernois

We develop a data-driven framework to identify the interconnections between firms using an information-theoretic measure. This measure generalizes Granger causality and is capable of detecting nonlinear relationships within a network. Moreover, we develop ...

2023

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Damir Filipovic

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

WILEY2022

Special Issue on Dimensionality Reduction, Learning, and Machines

Damir Filipovic, Fabio Trojani

OXFORD UNIV PRESS2021

Machine learning with kernels for portfolio valuation and risk management

Damir Filipovic, Lotfi Boudabsa

We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is ...

SPRINGER HEIDELBERG2021

Systemic Risk in Networks with a Central Node

Léo Hamed Amini, Damir Filipovic

We examine the effects on a financial network of clearing all contracts though a central node (CN), thereby transforming the original network into a star-shaped one. The CN is capitalized with external equity and a guaranty fund. We introduce a structural ...

SIAM PUBLICATIONS2020

A term structure model for dividends and interest rates

Damir Filipovic, Sander Félix M Willems

Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...

2020

Markov cubature rules for polynomial processes

Damir Filipovic, Martin Larsson, Sergio Andres Pulido Nino

We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as Markov cubature rul ...

ELSEVIER2020

Polynomial Jump-Diffusion Models

Damir Filipovic, Martin Larsson

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...

2020

Linear credit risk models

Damien Edouard Ackerer, Damir Filipovic

We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS ...

2020

Option pricing with orthogonal polynomial expansions

Damien Edouard Ackerer, Damir Filipovic

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we provide numerical case studies. We find that our polynomial ...

2020

On the relation between linearity-generating processes and linear-rational models

Damir Filipovic, Martin Larsson

We review the notion of a linearity-generating (LG) process introduced by Gabaix and relate LG processes to linear-rational (LR) models studied by Filipović et al. We show that every LR model can be represented as an LG process and vice versa. We find that ...

2019

Insurance: models, digitalization, and data science

Damir Filipovic

This article summarizes the main topics and findings from the Swiss Risk and Insurance Forum 2018. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the challenges arising from the impact ...

2019

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

The Jacobi stochastic volatility model

Damien Edouard Ackerer, Damir Filipovic, Sergio Andres Pulido Nino

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...

2018